I'm a big musicals fan... I think I've seen more live than I have on TV/DVD/video (I usually prefer stage versions over film versions)
.
My favourite live show so far was The Lion King (saw it on Broadway for my 21st) and the most recent was We Will Rock You in Bristol a couple of weeks ago, which was pretty good (had some amazing singers, although I was surprised to find out afterwards that the cast included a girl from the ITV show Britannia High, an old X Factor contestant (from Shane Ward's year) and the guy who played Curly Watts in Coronation Street).
I have been introduced to quite a few musicals by the local Dinner Playhouse near my aunt's house in Arkansas - we go there every time we visit and the shows are always wonderful - so far, we've seen Oliver!, My Fair Lady, Singing in the Rain, The Pajama Game, Guys and Dolls, Kiss Me Kate and Fiddler on the Roof.
Others that I've seen live (either in Bristol, London or when I was living in the US) are Chicago, Les Miserables, Joseph and the Amazing Technicolour Dreamcoat (twice - once in 1993 (with Philip Schofield as Joseph) and once in 2008 with Craig and Keith from the BBC Joseph show), We Will Rock You, The King and I, Chitty Chitty Bang Bang, Salad Days, Jesus Christ Superstar, Godspell, Grease, Fame 2000 (not a good show!), Brigadoon, West Side Story, Sunset Boulevard, Gypsy, Me and My Girl, Oh! What A Lovely War, Once Upon a Mattress, HMS Pinafore... and I'm sure there's more that I'm forgetting too
.